Xin Zhang

Xin Zhang

Rådgivare

Avdelningen för penningpolitik
Forskningsenheten
Sveriges Riksbank
SE-103 37 Stockholm, Sweden

Telefon + 46 8 787 05 73
E-post xin.zhang@riksbank.se

Econometrics, financial economics, credit risk, Fintech

Short bio

Xin Zhang is an Advisor at the Research Division of Sveriges Riksbank. He has been working on policy and research projects to develop machine learning and econometrics methods for analysing monetary policy, financial stability, household finance, central bank communication, and financial market infrastructure. He has published in several leading academic journals. Over the years he held visiting positions at the Fed, the BIS, the BIS Innovation Hub, and the ECB. Xin obtained his PhD in Finance from VU University Amsterdam and Tinbergen Institute.

Xin is co-organizing the webinar series (AMLEDS) on applied machine learning and data science for economists: https://sites.google.com/view/amleds/home.

Personal webpage: sites.google.com/site/zhangxinphd/


Education

Ph.D. in Finance, VU University Amsterdam and Tinbergen Institute
M.Phil. in Econometrics and Finance, University of Amsterdam
Bachelor in Economics, Statistics, Peking University


Publications in Refereed Journals

"Modeling extreme events: time-varying extreme tail shape", Journal of Business and Economic Statistics, (2023): 1-15, (with Enzo D'Innocenzo, André Lucas and Bernd Schwaab).

"Private Bank Money vs Central Bank Money: A Historical Lesson for CBDC Introduction", Journal of Economic Dynamics and Control, Vol 154, September 2023, 104707, (with Anna Grodecka-Messi).

"Narrative Fragmentation and the Business Cycle", Economics Letters, Vol 201, 2021, (with C. Bertsch and I. Hull).

"Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending", International Journal of Central Banking, Vol 18 (5), 2021, (with Christoph Bertsch and Isaiah Hull).

"The interaction between macroprudential and monetary policies: The cases of Norway and Sweden", Review of International Economics, Vol 29 (1), 2021, 87-116, (with J. Cao, V. Dinger, A. Grodecka-Messi, and R. Juelsrud).

"Risk endogeneity at the lender-/investor-of-last-resort", Journal of Monetary Economics, Vol 116, 2020, 283-297, (with D. Caballero, A. Lucas, and B. Schwaab).

"Bank misconduct and online lending", Journal of Banking and Finance, Vol 116, 2020, (with C. Bertsch, I. Hull, and Y. Qi).

"Spread the word: international spillovers from central bank communication", Journal of International Money and Finance, Vol 103, 2020, (with H. Armelius, C. Bertsch, and I. Hull).

"Modeling Financial Sector Joint Tail Risk in the Euro Area", Journal of Applied Econometrics, Vol 32, (1), 2017, Pages 171–191, (with A. Lucas and B. Schwaab).

"Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting", International Journal of Forecasting, vol 32, 2016, pages 293 – 302, (with A. Lucas).

"Conditional Euro Area Sovereign Default Risk", Journal of Business and Economic Statistics, 32(2), 2014, 271-284, (with A. Lucas and B. Schwaab).


Working papers

”Central Bank Mandates and Monetary Policy Stances: through the Lens of Federal Reserve Speeches” (with Christoph Bertsch, Isaiah Hull and Robin L. Lumsdaine), Journal of Econometrics, forthcoming.

“Quantitative Easing and the Supply of Safe Assets: Evidence from International Bond Safety Premia” (with Jens Christensen and Nikola N. Mirkov), Journal of International Economics, forthcoming.

"Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending", Sveriges Riksbank Working Paper Series No. 319, April 2016 (revised May 2017), (with C. Bertsch and I. Hull).

"House Prices, Home Equity, and Personal Debt Composition", Sveriges Riksbank Working Paper Series No. 343, October 2017, (with J. Li).

"The Role of Trust in Online Lending", Sveriges Riksbank Working Paper Series No. 346, November 2017 (with C. Bertsch, I. Hull and Y. Qi).

"Tail Risk in Government Bond Markets and ECB Unconventional Policies", (with A. Lucas and B. Schwaab).

"Systemic Risk and Asset Prices", (with R Tédongap).

"Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails", (with D. Creal, S. J. Koopman and A. Lucas).


Other publications

Federal Reserve Speeches Meet Transformer Models” with Christoph Bertsch, Isaiah Hull, and Robin L Lumsdaine, SUERF Policy Brief No. 528, February 2023.

"Home equity extraction activities in Sweden",Sveriges Riksbank Staff Memo, 2020, with Jieying Li and Peter van Santen.

"A New Early Warning Indicator of Financial Fragility in Sweden", Economic Commentaries, No. 1. 2017, Sveriges Riksbank, Sweden, (with P. Giordani and E. Spector).


Referee

Annals of Applied Statistics, Computational Statistics & Data Analysis, Empirical Economics, International Journal of Theoretical and Applied Finance, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Econometrics, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of International Money and Finance, Journal of Money, Credit and Banking, Scandinavian Journal of Economics.